What's new


  1. Nicole Seaman

    YouTube T1-10 RAPMs: Treynor, Jensen's, Sharpe

    Risk-adjusted performance measures (RAPMs) include Treynor and Jensen's, both of which are functions of the CAPM/SML, and the Sharpe ratio, which can be understood in the context of the CML. David's XLS: https://trtl.bz/2EIIb6j
  2. Nicole Seaman

    YouTube T1-7 How the portfolio possibilities curve (PPC) illustrates the benefit of diversification

    When correlations are imperfect, diversification benefits are possible. The portfolio possibilities curve illustrates this and it contains two notable points: the minimum variance portfolio (MVP) and the optimal portfolio (with the highest Sharpe ratio), At the end, I summarize four features of...
  3. Nicole Seaman

    P2.T8.704. Alpha and effective benchmarks (Andrew Ang)

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha...
  4. U

    Sortino ratio (versus Sharpe ratio)

    Hi there, Where can I download the spreadsheet as demonstrated in this video?